Usually sigma means stress or strength measured in MPa (N/mm2). There are various strengths, such as Yield Strength, Ultimate Tensile Strength, Fatigue Strength, etc.
I would agree with NickE and MintJulep--these numbers give you the statistical variation in fatigue life for a given stress level on the S/N diagram. The Fatigue lives for several coupons tested at the same stress level will vary, sometimes as much as one order of magnitude or more. I would guess that whoever derived these numbers used a normal distribution to fit fatigue data at various stress levels. "Sigma" then is the standard deviation of a normal distribution fit to the fatigue data at a given stress level.